As we know that to connect Nokia phone to PC, need Nokia suite or Nokia PC suite to install on the Computer. But if you have Nokia Lumia series then the Nokia suite will not support to transfer songs or any other medias to the Phone because the Lumia series has Windows Operating System, So for that you have to download and install Zune software on your PC.
If you are using Nokia Lumia series for first time then do not know how to transfer songs from computer to Nokia Lumia 610,710 etc. and the answer is to download Zune software and install it, Connect the Phone through usb cable open Zune Software, Select the sync folder from settings. For more help open Zune Software, click on Help Option.
To Download Zune Software
To Download Zune Software 4.8 Zune Package go to this link